Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1095
Annualized Std Dev 0.2205
Annualized Sharpe (Rf=0%) 0.4964

Row

Daily Return Statistics

Close
Observations 3767.0000
NAs 1.0000
Minimum -0.1309
Quartile 1 -0.0050
Median 0.0008
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0070
Maximum 0.1224
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0139
Skewness -0.2255
Kurtosis 10.3228

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0098
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.5368
Historical VaR (95%) -0.0215
Historical ES (95%) -0.0344
Modified VaR (95%) -0.0203
Modified ES (95%) -0.0330
From Trough To Depth Length To Trough Recovery
2007-10-11 2009-03-09 2010-10-25 -0.5368 762 350 412
2020-02-20 2020-03-23 2020-07-20 -0.3678 105 23 82
2018-08-30 2018-12-24 2019-07-03 -0.2323 211 80 131
2011-07-08 2011-10-03 2012-03-26 -0.2256 181 61 120
2015-03-23 2016-02-08 2016-08-15 -0.1976 354 223 131

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA 0.3 -0.4 1.8 2.6 -0.9 0.4 -0.1 -0.9 -1 -0.6 1.1
2007 0.6 -0.4 0.4 -0.3 0.1 0 0.6 1.2 1.2 -1.8 0.6 -0.3 1.9
2008 2.1 -3.2 3.1 1 0.4 0.1 -1.1 -1.1 -3.5 1.6 -4.4 3.6 -1.8
2009 -2.7 -1.4 0.3 0.7 5.2 0.2 -0.4 -2.2 -2.6 -3.2 1.6 -1 -5.8
2010 2.2 2 1.1 -2.5 -2.9 0.3 0.3 3.8 0.3 0 2.2 -0.5 6.1
2011 1.5 -1.7 0.6 0.2 -2.1 1.9 -0.7 -1.2 -3.2 -2.5 0.3 -0.4 -7.2
2012 0.9 0.7 0.3 0.4 -2.7 2.7 -0.6 0.5 0.2 1.4 0.1 1.9 5.8
2013 1 0.8 -0.9 -0.7 -1.3 1 1.7 -0.4 0.9 0.2 0 0.4 2.7
2014 -0.6 -0.1 1.6 0.2 0 1.2 -0.3 0.3 -1.8 1.6 -1.4 -0.8 -0.1
2015 -1.5 -0.1 -0.6 1.6 0.5 0.6 0.1 -2.7 0.6 0 1.2 -1 -1.4
2016 0.5 3 1 -0.7 0 0.1 0 0.2 0.5 -0.9 -1.6 -0.5 1.4
2017 0 1.2 0 0.4 0.8 0.1 0.1 0.2 0.7 -0.3 -0.8 -0.7 1.5
2018 -0.1 -1.5 1.9 0.9 1.5 0.5 -0.1 0.2 0 1.9 0.6 1.1 7
2019 0.3 0.8 1.1 -1.2 -1.1 0.8 -0.6 -0.8 -1.2 0.8 -0.4 0.1 -1.3
2020 -2.2 -0.1 -4.8 -3.1 0.7 0.4 0.5 1.3 1.1 -1.5 1.2 0.5 -6
2021 2.6 2.9 0.9 NA NA NA NA NA NA NA NA NA 6.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-03-07  33.9 SPY    128. -0.0016  -0.002    0.0135   0.0088   0.0422    0.546   0.0324 GLD    55.0 -0.0051  -0.02  
2 2006-03-09  34.0 SPY    127. -0.0067  -0.0153   0.0151   0.0044   0.053     0.566   0.0305 GLD    54.2  0.005   -0.0441
3 2006-03-13  34.1 SPY    129.  0.0019   0.0051   0.0191   0.0225   0.0701    0.589   0.0218 GLD    54.3  0.0089  -0.0167
4 2006-03-14  34.3 SPY    130.  0.0105   0.0173   0.028    0.0305   0.0746    0.552   0.0252 GLD    54.9  0.0103  -0.0015
5 2006-03-15  34.6 SPY    131.  0.0045   0.0197   0.0344   0.0341   0.0884    0.554   0.0286 GLD    55.1  0.0046   0.0213
6 2006-03-16  34.7 SPY    131.  0.0021   0.0287   0.0257   0.0292   0.1       0.510   0.0622 GLD    55.3  0.004    0.0203
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart